The multicomponent nitride coatings from TiZrNbAlYCr high entropy alloy (HEA) were fabricated using the vacuum-arc method. The effect of nitrogen pressure on the crystallite size, elemental and phase composition of (TiZrNbAlYCr)N coatings was investigated. A bias voltage applied to the substrate during the deposition process was −200 V. The partial nitrogen pressure was 0.05 Pa, 0.27 Pa, and 0.5 Pa. Body-centered cubic (BCC) lattice with crystallites of 15 nm in size was formed at the lowest pressure. An increase in the pressure led to the formation of the two-phase structure: BCC phase with crystallite size of 15 nm and face-centered cubic (FCC) phase with crystallite size of about 3.5 nm. The same two-phase state was found in coatings fabricated at 0.5 Pa, while the mean crystallite size was 7 nm. The maximum hardness of the deposited coatings was about 47 GPa.